Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.0001
Annualized Std Dev 0.2458
Annualized Sharpe (Rf=0%) -0.0006

Row

Daily Return Statistics

Close
Observations 3369.0000
NAs 1.0000
Minimum -0.1777
Quartile 1 -0.0068
Median 0.0009
Arithmetic Mean 0.0001
Geometric Mean 0.0000
Quartile 3 0.0075
Maximum 0.1511
SE Mean 0.0003
LCL Mean (0.95) -0.0004
UCL Mean (0.95) 0.0006
Variance 0.0002
Stdev 0.0155
Skewness -0.7366
Kurtosis 14.5311

Downside Risk

Close
Semi Deviation 0.0115
Gain Deviation 0.0104
Loss Deviation 0.0128
Downside Deviation (MAR=210%) 0.0160
Downside Deviation (Rf=0%) 0.0115
Downside Deviation (0%) 0.0115
Maximum Drawdown 0.6186
Historical VaR (95%) -0.0237
Historical ES (95%) -0.0383
Modified VaR (95%) -0.0239
Modified ES (95%) -0.0496
From Trough To Depth Length To Trough Recovery
2007-11-01 2008-11-20 2010-10-13 -0.6186 743 267 476
2018-01-29 2020-03-23 NA -0.4834 792 541 NA
2011-05-02 2016-01-21 2018-01-26 -0.4473 1697 1189 508
2011-01-06 2011-03-16 2011-04-07 -0.1136 64 48 16
2010-11-05 2010-11-23 2010-12-31 -0.0632 39 13 26

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2007 NA NA NA NA NA NA NA NA NA -4 0.3 0.2 -3.4
2008 1.2 -1.4 2 1.4 -0.2 -1.8 -0.2 -0.6 -0.4 5.2 -5.1 2.8 2.7
2009 -2.1 -0.2 5.5 2.3 2.9 2.4 1 -1.1 -2.6 -3.2 1.7 0 6.4
2010 1 1.7 1.6 -1.7 -2.2 0.4 0.4 2.3 1.2 0.5 2.5 0.7 8.4
2011 1.6 -1.4 1.6 0.6 -1.1 0.9 -0.3 -0.5 -3 -1.8 -0.5 0.3 -3.6
2012 2.2 1.6 1 0.2 -2.6 3 0.5 1 1.3 1.6 -0.1 1.5 11.6
2013 0.8 0.6 -0.7 -0.9 -1.7 0 1.2 0.8 1.6 -0.4 1 0.4 2.5
2014 0 -0.6 1.1 0.3 -0.5 0.8 1 0.2 -1.2 -0.2 -0.8 0 -0.1
2015 -2.1 -0.1 1 0.1 -0.5 0.4 0.9 -2.5 0.6 -0.2 0.7 -0.4 -2
2016 -0.5 3.2 0.4 -0.1 0 0.8 -0.1 0.5 0.8 -0.8 -1 -0.4 2.8
2017 0.4 1.5 -0.2 0.3 0.5 0.8 0.4 0.7 1.3 0.4 -0.2 0.8 6.6
2018 -0.5 0.4 1.4 -0.6 0.8 1.5 -0.6 0.7 0 3.3 -0.2 -0.1 6.4
2019 -0.3 0.4 1.8 -0.8 0.7 0.7 -2.1 0.3 -0.6 0.9 -0.8 0.6 0.7
2020 -1.8 -0.8 -3.3 -3.2 2.3 1.7 -0.4 0.8 1 -1 1 -0.1 -3.9
2021 1.9 1.9 1.3 NA NA NA NA NA NA NA NA NA 5.2

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld   ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl>   <dbl>    <dbl>
1 2007-10-30  51.4 SPY    153. -0.0069   0.0086  -0.008    0.0453   0.110     0.352    0.708 GLD    77.4 -0.0099   0.0282
2 2007-10-31  52.6 SPY    155.  0.0104   0.0209   0.0036   0.0478   0.122     0.366    0.746 GLD    78.6  0.0164   0.041 
3 2007-11-01  50.5 SPY    151. -0.0234  -0.0053  -0.0179   0.0503   0.0961    0.330    0.689 GLD    77.9 -0.0088   0.025 
4 2007-11-02  51.1 SPY    151.  0.0011  -0.0158  -0.0183   0.0341   0.105     0.332    0.708 GLD    79.8  0.0244   0.0275
5 2007-11-05  50.6 SPY    150. -0.0076  -0.0265  -0.0372   0.0154   0.097     0.305    0.662 GLD    79.8 -0.001    0.0209
6 2007-11-06  52.1 SPY    152.  0.0135  -0.0065  -0.019    0.015    0.114     0.305    0.669 GLD    81.4  0.0211   0.0527
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart